Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0328 |
| Annualized Std Dev | 0.2572 |
| Annualized Sharpe (Rf=0%) | 0.1275 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5587.0000 |
| NAs | 1.0000 |
| Minimum | -0.2648 |
| Quartile 1 | -0.0069 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0073 |
| Maximum | 0.1605 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0003 |
| Stdev | 0.0162 |
| Skewness | -0.4072 |
| Kurtosis | 21.9136 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0115 |
| Gain Deviation | 0.0124 |
| Loss Deviation | 0.0125 |
| Downside Deviation (MAR=210%) | 0.0160 |
| Downside Deviation (Rf=0%) | 0.0113 |
| Downside Deviation (0%) | 0.0113 |
| Maximum Drawdown | 0.7146 |
| Historical VaR (95%) | -0.0227 |
| Historical ES (95%) | -0.0368 |
| Modified VaR (95%) | -0.0210 |
| Modified ES (95%) | -0.0210 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2013-05-15 | 2020-03-19 | NA | -0.7146 | 1977 | 1724 | NA |
| 2008-01-15 | 2008-10-27 | 2010-10-13 | -0.5303 | 693 | 199 | 494 |
| 2000-02-08 | 2001-04-09 | 2006-11-06 | -0.5237 | 1696 | 294 | 1402 |
| 1999-07-07 | 1999-09-28 | 1999-12-27 | -0.3036 | 121 | 59 | 62 |
| 1999-01-11 | 1999-03-30 | 1999-04-08 | -0.2879 | 61 | 55 | 6 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | -1.6 | -1.8 | 14.9 | 4.2 | 9.3 | 0 | -1.1 | 0 | 1.3 | -4.4 | 0 | 0.9 | 22.1 |
| 2000 | -0.9 | -0.9 | 0 | 3 | 0 | -1 | 0 | -3.2 | 0 | 0 | -1.1 | 1.2 | -2.8 |
| 2001 | -3.5 | 1.9 | -2.5 | -3.3 | 1.7 | -1.6 | 2.1 | 0.6 | -1.1 | -0.9 | -1.1 | 3.8 | -4.1 |
| 2002 | 0.9 | 2.6 | -0.3 | -0.3 | -1.8 | 0.2 | 0.4 | 1.1 | 1.6 | -0.9 | -1 | -0.8 | 1.4 |
| 2003 | 0.4 | -0.2 | -1 | -0.6 | 0.9 | 1.3 | -0.3 | 0 | 1.2 | 0.7 | 2.8 | 0.5 | 5.8 |
| 2004 | 0.6 | 1.7 | -2.2 | -3.2 | 0.2 | -0.3 | 0.6 | 1.1 | 2.2 | -0.1 | 0.5 | 0.4 | 1.3 |
| 2005 | 0.7 | -1.3 | -0.7 | 1.9 | 0.6 | -0.3 | 0 | 0.3 | 0 | 0.4 | 0.1 | -0.1 | 1.6 |
| 2006 | -0.6 | 0.4 | -0.1 | 0 | 0.7 | -0.5 | -1.2 | 1.2 | -1.5 | -0.1 | 0.1 | 0 | -1.8 |
| 2007 | 0.4 | -2.6 | 0.4 | 1.1 | 1.5 | 0.7 | 0 | 0.9 | 1.9 | -4 | 0.2 | 0.2 | 0.6 |
| 2008 | 1.2 | -2 | 1.1 | 1.5 | 1.8 | -1 | 0.4 | 1.1 | -0.7 | 0.4 | -6 | -0.3 | -2.6 |
| 2009 | 0.3 | -1.2 | 3.6 | 1 | 2 | 0.9 | 0.8 | -0.5 | -0.3 | -2.2 | 0.8 | -0.5 | 4.7 |
| 2010 | 0.7 | 1.5 | 1.2 | -0.7 | 0.2 | 0.5 | 1.3 | 2.9 | 0.8 | 0 | 1.7 | 0.8 | 11.5 |
| 2011 | 1.5 | -0.1 | 1 | 0.1 | -1.5 | 1.1 | 0.5 | -0.7 | -2.1 | -3 | -1.5 | 0.4 | -4.2 |
| 2012 | 1 | 0.7 | 1.3 | 0 | -1.9 | 2.5 | 0.1 | 0.6 | 1.3 | 1.5 | 0.2 | 1.5 | 9 |
| 2013 | 0.1 | 0 | -1.1 | -0.7 | -1.4 | 0 | 1.2 | 2 | 2.1 | 0.5 | 0.6 | 0.3 | 3.6 |
| 2014 | 0.1 | -0.7 | 0.2 | 0.1 | -0.7 | 0.6 | 0.4 | -1 | -0.8 | -0.3 | -2.9 | -0.8 | -5.7 |
| 2015 | -1.8 | 0.1 | 0.5 | 0.5 | -1 | 1.5 | 2.4 | -1.9 | -0.9 | 0.2 | 1.7 | 0.1 | 1.3 |
| 2016 | -1.4 | 3.6 | -0.1 | -1.4 | -0.8 | -0.1 | -0.1 | 0 | 0 | -0.1 | 0 | -0.7 | -1.2 |
| 2017 | -0.2 | 0.8 | -0.9 | 0.4 | 0.7 | 0.5 | 0.1 | 0.6 | 0.7 | -0.3 | -0.5 | 0.6 | 2.6 |
| 2018 | -0.1 | -0.4 | 1.2 | -0.9 | 1 | 1.4 | -0.9 | 0.3 | -0.2 | 1.6 | -1 | -0.4 | 1.5 |
| 2019 | -0.7 | -0.3 | -0.8 | -0.6 | 1.2 | 1.3 | -0.8 | 0.6 | 0 | 1 | -1.5 | -0.1 | -0.7 |
| 2020 | -2.2 | -0.3 | -4.8 | -2.3 | 3.4 | 2 | -0.8 | 0 | -0.1 | -1.1 | 1.7 | -0.9 | -5.5 |
| 2021 | 1.5 | 0.3 | 0.8 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.6 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
